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Alternative Investment
Strategies
WORLD MONITOR TRUST II--
SERIES D
MONTHLY REPORT/
SEPTEMBER 26, 2003
PRUDENTIAL FINANCIAL (LOGO)
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WORLD MONITOR TRUST II--SERIES D
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Dear Interest Holder:
Enclosed is the report for the period from August 30, 2003 to September 26, 2003
for World Monitor Trust II--Series D ('Series D'). The net asset value of a unit
as of September 26, 2003 was $110.36, an increase of 2.62% from the August 29,
2003 value of $107.54. The calendar year-to-date return for Series D was an
increase of 18.45% as of September 26, 2003. Additionally, the return for the
quarter ended September 26, 2003 was an increase 5.46%
Quarterly Market Overview
In the U.S., the third quarter of 2003 was marked by an economic growth rate of
7.2 percent--the fastest rate since 1984--which was boosted by strong consumer
and business spending. Leading indicators rose throughout July and August, but
fell 0.2 percent in September, the first decline in four months. Manufacturing
and industrial production grew throughout the quarter, although at a slower
pace, as new orders and production gradually strengthened. Child tax credit
checks arrived in July and August in time for the crucial back-to-school retail
sales period boosting disposable income to its biggest gain in a year. Consumer
spending, which makes up two-thirds of the economy, rose throughout most of the
quarter as retail sales increased 1.4 percent in July--the largest increase in
four months--and 0.6 percent in August, but cooled in September. Housing,
automobile and durable goods markets aided by incentives and low-interest rates
continued at a high clip. However, consumer confidence was mixed in July and
declined in September to the lowest level since the war in Iraq as a result of
higher gas prices and continued job losses. Despite a slowdown in layoffs,
hiring has not picked up as companies continued to focus on becoming more
efficient. The U.S. economy lost 49,000 jobs in July and a record 93,000 jobs in
August. The majority of job losses occurred in the manufacturing sector, which
experienced its 38th consecutive monthly drop in employment in September.
Non-farm payrolls, mostly in the private sector, rose for the first time in
eight months in September. Watching over the weak labor market, the U.S. Federal
Reserve maintained the target for the federal funds rate at one percent, a
45-year low, at both its August and September meetings.
The global economy experienced mixed growth in the third quarter. Widening
deficits, rising unemployment, declining business and consumer confidence and
sluggish economic growth continued to dog the 12-nation euro zone. The European
Central Bank left rates untouched at the end of September. The outlook was
rosier in Japan as capital spending spurred a recovery from its third recession
in a decade. Unemployment reached its lowest level since mid-2001, and although
Japanese consumer spending remained flat, business investments have gradually
grown.
Indices: The three major U.S. market gauges (Dow Jones Industrial Average, S&P
500 and NASDAQ) boasted a second quarter of gains after three years of declines,
even though they finished lower in September. Stronger corporate earnings,
growth in capital and consumer spending and a third consecutive month of
manufacturing growth boosted stock prices. Toward the end of September, the Dow
Jones Industrial Average, S&P 500 and NASDAQ declined based on weak economic
data and a rush by investors to lock in third quarter gains. Japanese stocks
experienced their biggest sell-off in two years as a result of the pullback in
U.S. equities and the U.S. dollar's 33-month low against the yen. Investors were
concerned about poor consumer confidence figures, weak third-quarter earnings
results, high stock valuations, sketchy corporate governance, persistent job
market weakness, escalating conflict in the Middle East, and a production cut by
OPEC. Nonetheless, the Japanese Nikkei reached a 15-month high in mid-September
with an overall gain of 12.5 percent. Most Asian markets reported robust returns
with European markets edging upwards throughout the quarter resulting in two
consecutive quarters of gains for global stock markets.
Interest Rates: Volatility marked the performance of U.S. Treasuries, as prices
fell 1.9 percent with yields rising to 3.9 percent in the third quarter. The
majority of damage occurred in July as U.S. Treasuries posted their worst
monthly return in more than two decades when investors shifted their allocations
from bonds to stocks on the basis of stronger economic data. Prices rebounded in
August, but dipped again in mid-September as a result of profit taking ahead of
economic data reports. U.S. Treasury prices jumped at the end of September on
the back of soft consumer confidence figures, depressed job market reports,
slower manufacturing activity reports, and a weaker dollar. As a result of
improved world growth, global bond yields began low at the beginning of the
quarter and rose in every major developed bond market with Japanese bonds
experiencing the greatest rise in yields.
Currencies: In the foreign exchange markets, the U.S. dollar remained weak and
fell at the end of September when the Group of 7 and the U.S. Treasury Secretary
John Snow called for more exchange rate flexibility and further supported a weak
dollar policy. The dollar declined to a 33-month low against the Japanese yen
reversing only after intervention by the Bank of Japan. News of the intervention
forced European currencies lower. However, the Euro ended the quarter at its
highest level against the dollar since mid-June.
Energies: To hedge against inflation, investors began buying oil in August.
Unexpected growth in U.S. inventories drove oil prices lower, reaching
four-month lows. Oil prices spiked in September as OPEC announced an output
reduction of 3.5 percent ahead of peak winter demand to stem the decline in
prices. Prices stabilized slightly when investors realized supplies appeared to
be sufficient but ended the quarter at the highest level in three weeks.
Quarterly Performance of Series D
The following is a summary of performance for the major sectors in which Series
D traded:
Currencies (+): The Group of 7's support of a weak U.S. dollar led to the
strengthening of major global currencies and net gains in long British pound
positions. The rise of the Japanese yen due to the growing economy led to net
gains for long positions.
Interest Rates (+): As a result of improved world growth, bond prices declined
in every major developed bond market. Short Japanese and Canadian bond positions
resulted in net gains.
Metals (+): Investors looking to hedge against inflation drove the price of gold
to a seven-year high. Long gold positions resulted in net gains.
Indices (-): Short S&P 500, Japanese TOPIX and German DAX index positions
resulted in net losses as U.S. and major global stock markets rose for the
second consecutive quarter.
The estimated net asset value per interest as of October 30, 2003 was $116.23.
Past performance is not necessarily indicative of future results.
Should you have any questions, please contact your Wachovia Securities Financial
Advisor. For account status inquiries, contact Prudential Financial Client
Services at (212) 778-2443.
Sincerely yours,
/s/ Eleanor L. Thomas
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Eleanor L. Thomas
President and Director
PRUDENTIAL SECURITIES
FUTURES MANAGEMENT INC.
Please note that the value which appears on your Wachovia Securities statement
is an estimated value at calendar month-end. The actual value as of the last
Friday of the month is contained in this report.
<Table>
STATEMENT OF OPERATIONS
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For the period from August 30, 2003
to September 26, 2003
Revenues:
Realized loss on commodity transactions......... $ (492,684)
Change in unrealized commodity positions........ 1,326,255
Interest income................................. 16,812
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850,383
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Expenses:
Commissions..................................... 99,636
Incentive fees.................................. 153,218
Management fee.................................. 20,895
Other transaction fees.......................... 7,421
Other expenses.................................. 9,173
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290,343
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Net gain........................................ $ 560,040
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<Table>
STATEMENT OF CHANGES IN NET ASSET VALUE
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For the period from August 30, 2003
to September 26, 2003
<Caption>
Per
Total Interest
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Net asset value at beginning of period
(198,463.123 interests)............... $21,342,741 $ 107.54
Net gain............................... 560,040
Redemptions............................ (22,072)
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Net asset value at end of period
(198,258.282 interests)............... $21,880,709 110.36
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Change in net asset
value per interest................................. $ 2.82
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Percentage change................................... 2.62%
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</Table>
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I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to World Monitor Trust II--Series D is accurate and
complete.
PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC.
/s/ Ronald J. Ivans
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by: Ronald J. Ivans
Chief Financial Officer